3 papers
math.PR2018
Conditioned point processes with application to Lévy bridges
Giovanni Conforti, Tetiana Kosenkova, Sylvie Roelly
Our first result concerns a characterisation by means of a functional equation of Poisson point processes conditioned by the value of their first moment. It leads to a generalised…
math.PR2017
How close are time series to power tail Lévy diffusions?
Jan Gairing, Michael A. Högele, Tania Kosenkova +1
This article presents a new and easily implementable method to quantify the so-called coupling distance between the law of a time series and the law of a differential equation driv…
math.PR2015
Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications
Jan Gairing, Michael Högele, Tetiana Kosenkova
This article assesses the distance between the laws of stochastic differential equations with multiplicative Lévy noise on path space in terms of their characteristics. The notion…